We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The …-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality … approximation of the standardized business-time return distribution. Our Monte Carlo results show that the integrated volatility …